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[null,"Black-Scholes-Merton pricing formula of an European put option"]
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[null,"X",100,null,"Option price",10.123356388123227,null,"NAG routine in use: s30abc"]
[null,"S",100,null,"Delta",-0.3933475271719911,null,"European option price given by the Black–Scholes–Merton formula together with its sensitivities (Greeks)"]
[null,"T",1,null,"Gamma",0.012633719170005808,null,"Chapter s – Approximations of Special Functions"]
[null,"Sigma",0.3,null,"Vega",37.90115751001743,null,"Documentation:"]
[null,"r",0.05,null,"Theta",-3.998963225580479,null,null,"http://www.nag.co.uk/numeric/CL/nagdoc_cl23/html/S/s30abc.html"]
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[{"$nulls":4},"Crho",-39.33475271719911,null,"For details please view the VBA code which consists of 3 modules:"]
[{"$nulls":4},"Vanna",0.06316859585002825,null,null,"Module \"Declarations\" contains declaration statements needed when using the NAG C Library."]
[{"$nulls":4},"Charm",-0.05524339743096148,null,null,"Module \"Module1\" contains function \"NAG_option_price\" that computes a single option price with Greeks."]
[{"$nulls":4},"Speed",-0.00023161818478344005,null,null,"Module \"Module2\" contains function \"NAG_option_price2\" that computes option prices for multiple times and strike prices."]
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[{"$nulls":4},"Zomma",-0.0426388021987696]
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[null,"Black-Scholes-Merton pricing formula of an European put option"]
[null,"Four strike prices and three times to maturity in this exampe"]
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